Loeffen, Ronnie; Czarna, Irmina; Palmowski, Zbigniew - arXiv.org - 2011
In this note we give, for a spectrally negative Levy process, a compact formula for the Parisian ruin probability, which is defined by the probability that the process exhibits an excursion below zero, with a length that exceeds a certain fixed period r. The formula involves only the scale...